Does Risk Aversion Matter for Foreign Asset Holdings of Pension Funds – The Case of Poland

• Authors: Radosław Kurach , Daniel Papla
• Languages of publication: EN

Abstracts

EN

In this study we explore the issue of foreign assets in mandatory pension funds portfolios. First we provide an overview of the regulatory policies regarding international assets and indicate the externalitieswhich may account for the observed differences among the CEE states. Then, taking the perspective of portfolio theory, we run a simulation study to measure the diversification benefits that may be achieved by greater international asset allocation. By applying the specific constraints and exchange rate volatility to our optimization procedure, the study reflects the perspective of the Polish pensioner. However, the findings regarding risk aversion intensity and the discussed directions of further research should be of a universal character.

PL

W artykule podjęto zagadnienie inwestycji w aktywa zagraniczne dokonywanych przez fundusze emerytalne. W części pierwszej opracowania dokonano przeglądu polityk nadzorczych oraz wskazano efekty zewnętrzne inwestycji zagranicznych, które mogą odpowiadać za obserwowane różnice w regulacjach pomiędzy krajami Europy Środkowo-Wschodniej. Następnie wykorzystując teorię portfela przeprowadzono symulacje mające na celu oszacowanie korzyści dywersyfikacyjnych, jakie mogłyby zostać osiągnięte poprzez wyższy udziałaktywów zagranicznych. Stosując specyficzne ograniczenia oraz biorąc pod uwagę zmienność kursu walutowego, zaprezentowane badanie oddaje perspektywę członka polskiego funduszu emerytalnego. Z drugiej strony, wnioski dotyczące stopnia awersji do ryzyka oraz wskazane kierunki dla dalszych badań powinny mieć charakter uniwersalny.

Keywords

EN

pensions funds; currency risk; international portfolios

PL

fundusze emerytalne; ryzyko walutowe; portfele międzynarodowe

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Comparative Economic Research. Central and Eastern Europe
• Year: 2014
• Volume: 17
• Issue: 2
• Pages: 139-153

Dates

published

2014-06-01

online

2014-07-10

Contributors

author

Radosław Kurach

• Wrocław University of Economics, Faculty of Economic Sciences, Department of Mathematical Economics

author

Daniel Papla

• Wrocław University of Economics, Faculty of Management, Computer Science and Finance, Department of Financial Investments and Risk Management

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Identifiers

DOI

10.2478/cer-2014-0018